摘要
金融创新中的“脱离本源”现象是当前中国金融体系中的一个重要问题。文章以2012-2020年中国企业ABS为样本,分析了放松担保准入引发企业ABS“脱离本源”的微观机制。研究发现,关联担保型企业ABS的违约风险更高,这脱离了“主体信用和资产信用应当隔离”的本源。机制检验显示,在将担保作为发行条件的中国企业ABS场景下,关联担保容易引发信用混同,具体表现形式是主体风险传染和资金腾挪。进一步分析表明,低信用主体发行的关联担保型企业ABS更容易“脱离本源”。此外,低信用主体腾挪资金的动机还会受到计划管理人管理能力和企业性质的影响。文章的研究为资产证券化领域监管政策的完善以及金融创新“回归本源”提供了重要启示。
Financial innovation has always been the main driving force for the reform and development of China's financial market,as well as an important factor for the long-term and stable growth of the national economy.However,in the above process,a variety of forms of“deviation from the source”have emerged,leading to financial risks and social risks.Among them,asset-backed securitization with related guarantee provides a good sample for our research.To clear the micro-mechanism of“deviation from the source”is not only conducive to enhancing the ability of asset-backed securitization to serve the real economy,but also helpful to prevent and resolve financial risks in this field,and provides enlightenment for promoting financial innovation from“deviation from the source”to“return to the source”.The study finds that the default risk of asset-backed securitization with related guarantee is higher,which is divorced from the origin of“corporate credit and asset credit should be separated”.The mechanism test shows that related guarantee is easy to cause credit confusion,which is manifested in the form of corporate risk contagion and fund transfer.Further analysis shows that asset-backed securitization with related guarantee issued by low-credit corporate is more likely to deviate from the origin.In addition,the motivation of nomy.Third,it discusses the impact of central bank collateral expansion on monetary policy effectiveness.The study finds that central bank collateral expansion can help to improve monetary policy effectiveness under quantity-based monetary policy rules,but it has little impact on the transmission efficiency of monetary policy under price-based monetary policy rules.Fourth,it extends the one-sector model to a two-sector model with state-owned firms and private firms,and uses the extended model to study the impact of including credit assets of small and micro firms as eligible collateral.The results show that,before collateral expansion,the expansion in lending facility is only beneficial
作者
王剑锋
徐万肖
Wang Jianfeng;Xu Wanxiao(School of Finance,University of International Business and Economics,Beijing 100029,China)
出处
《财经研究》
CSSCI
北大核心
2023年第5期4-18,48,共16页
Journal of Finance and Economics
关键词
金融创新
关联担保型企业ABS
脱离本源
回归本源
合约理论
collateral framework
externalization effect of default risk
economic fluctuations
effectiveness of monetary policy
